Tag: trading-microstructure
Concepts
- The Abdi-Ranaldo Spread Estimator
- The Access Rule And Fee Caps
- The Liquidity-Adjusted CAPM
- Fingerprinting An Algo From Its Child Orders
- The Algo Wheel
- Anti-Gaming Logic In Execution Algos
- How The Auction Book Interacts With The Continuous Book
- Imbalance Feeds And Indicative Auction Prices
- Tie-Breaks: Minimum Surplus And Reference Price
- Auction Versus Continuous Trading Liquidity
- Benchmark Gaming And VWAP Bias
- The Bertsimas-Lo Execution Problem
- Block Trades And The Upstairs Market
- Borrow Costs And Short Selling Fees
- Broker And Venue Execution Scorecards
- Bulk Volume Classification
- Cartea-Jaimungal Market Making
- Clearly Erroneous Trades And Trade Busts
- Segmenting Client Flow
- Clock Synchronisation And PTP Timestamping
- Price Dislocation In The Closing Auction
- Colocation And Proximity Hosting
- Commissions, Exchange Fees And Transaction Taxes
- Conditional Orders And Indications Of Interest
- The Cont-Stoikov-Talreja Book Model
- Corporate Bond Liquidity And Dealer Balance Sheets
- The Corwin-Schultz High-Low Spread Estimator
- Cost-To-Trade Curves And Depth Metrics
- Cross-Asset Order Flow Spillovers
- Market Making On Crypto Venues
- Cumulative Volume Delta
- Sourcing Dark Liquidity
- How Much Dark Trading Is Too Much?
- The March 2020 Dash For Cash
- Dealer Versus Agency Market Structures
- Deep Learning On Limit Order Books
- Delay Cost And The Decision Price
- Depth Versus Breadth Of Liquidity
- Designated Market Makers And Quoting Obligations
- Detecting Quote Stuffing In Message Data
- Detecting Sweeps In The Tape
- Determinism And Jitter Control
- Direct Feeds Versus The SIP
- Displayed Versus Accessible Liquidity
- Does HFT Improve Market Quality?
- The EMO Trade Classification Rule
- ETF Liquidity Versus Basket Liquidity
- ETF Market Making And Create/Redeem
- European Periodic Auction Books
- Exchange Conformance Testing And Certification
- Gateway, Matching and Response Latency
- Trading Into Alpha: Execution With A Signal
- Fill Ratios And Hit Rates
- The FIX Protocol
- FIXT And The FIX 5.0 Transport Split
- Flickering Quotes And Quote Lifetimes
- Flight To Liquidity
- Footprint Charts And Volume At Price
- Frequent Batch Auctions
- FX Market Making And Last Look
- Gaming The Auction Imbalance
- The Grossman-Miller Model
- Guaranteed VWAP And Principal Risk Bids
- The Guilbaud-Pham Model
- The HFT Arms Race Argument
- Imbalance-Only And Auction-Only Orders
- How Imbalance Maps To The Auction Print
- Immediacy: What You Pay For Speed
- Calibrating A Market Impact Model
- Implicit Versus Explicit Trading Costs
- Indicative Price Drift During The Call Phase
- Intermarket Sweep Orders
- Internalisation And Wholesale Market Makers
- The Intraday Path Of Spreads And Depth
- Intraday Volatility Seasonality
- Inventory Limits And Position Caps
- Is Speed Unfair? The Fairness Debate
- Kill Switches and Risk Gateways
- Estimating Kyle's Lambda From Trade Data
- How Deep To Place A Limit Order
- Limit Up-Limit Down Bands
- Liquidity Around Scheduled Macro Releases
- Liquidity Black Holes
- How Liquidity Migrates Between Venues
- The Liquidity Risk Premium
- Locked And Crossed Markets
- Maker-Taker Pricing And Market Quality
- The Market Access Rule
- Market Data Fees And Access Fairness
- Hedging A Market Maker's Book
- Backtesting A Market Making Strategy
- Market Making In Stressed Markets
- Market Making With A Directional Signal
- Market-Wide Circuit Breakers
- Measuring Retail Execution Quality
- Message Throttles and Rate Limits
- Message Traffic And Quote-To-Trade Ratios
- The Size Distribution Of Metaorders
- Microwave And Millimetre-Wave Trading Networks
- Midpoint Liquidity Pools
- MiFID II Waivers And Dark Volume Caps
- Why Volume Keeps Migrating To The Close
- MOC Cut-Offs And Late Order Rules
- Momentum Ignition And Quote Stuffing
- Multi-Asset Market Making And Correlated Inventory
- Order Flow Imbalance Beyond The Touch
- Multicast Feeds, Sequence Gaps And Recovery
- Negotiated Crosses And Price Check Rules
- Odd Lots, Round Lots And Mixed Lots
- Market-On-Close And Limit-On-Close Orders
- The Opening Auction
- How Good Is Opening Auction Price Discovery?
- The Opportunity Cost Of Unfilled Orders
- Optimal Execution Using Limit Orders
- Options Market Making
- Order Anticipation Strategies
- Why The Book Has A Power-Law Shape
- How Fast Order Flow Alpha Decays
- The Order Protection Rule And Trade-Throughs
- Slicing A Parent Order Into Children
- Packet Capture and Hardware Timestamps
- Choosing A Participation Rate
- The Pastor-Stambaugh Liquidity Measure
- Phantom Liquidity
- Scheduling A Portfolio Trade List
- Post-Trade TCA Reporting
- Pre-Trade Risk Checks
- Price Delay Measures
- Measuring Price Improvement
- Propagator Models Of Price Impact
- Queue Imbalance As A Predictor
- How The Queue Rebuilds After A Sweep
- Quote Stability And Fill Certainty
- When To Requote
- Quoting Around Scheduled News
- Random End Times And Auction Extensions
- Rebate Capture Strategies
- Regulation ATS And Dark Pool Disclosure
- Reinforcement Learning For Order Execution
- Retail Liquidity Programs And Price Improvement
- RFQ And Request-For-Quote Execution
- Rules 605 And 606: Execution Quality Disclosure
- How Much Of The Book Is Hidden?
- Short Sale Rules And The Alternative Uptick Rule
- The Signal-To-Order Pipeline
- Signing Off-Exchange And Odd-Lot Prints
- Single-Stock Halts And Reopening Auctions
- Speed Bumps And Randomised Delays
- Stale Quote Sniping
- Static And Dynamic Price Bands
- Static Versus Adaptive Execution Schedules
- Stoll's Inventory Model of the Spread
- The Sub-Penny Rule
- Systematic Internalisers
- Target-Close Algorithms
- The Flickering NBBO
- The Tick Rule And The Quote Rule
- The Tick Size Pilot And What It Showed
- Time-Weighted Versus Trade-Weighted Spreads
- Trade Aggressor Imbalance
- How Accurate Are Trade Classification Rules?
- Trade Condition Codes: Which Prints To Keep
- The Distribution Of Trade Sizes
- Urgency And The Risk-Aversion Parameter
- Exchanges, MTFs, OTFs And ATSs
- Estimating The Volume Curve For VWAP
- Wash Trades And Self-Match Prevention
- Why The Closing Auction Keeps Growing
- Zero-Intelligence Order Book Models